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Information uncertainty and expected returns

delete2005-09-01
delete292
PRE
AI
姜
姜国华 (Guohua Jiang)
C
Charles M.C. Lee
张
张懿 (Yi Zhang)
DOI：10.1007/s11142-005-1528-2delete
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摘要

摘要

En 中文
This study examines the role of information uncertainty (IU) in predicting cross-sectional stock returns. We define IU in terms of value ambiguity, or the precision with which firm value can be estimated by knowledgeable investors at reasonable cost. Using several different proxies for IU, we show that (1) on average, high-IU firms earn lower future returns (the mean effect), and (2) price and earnings momentum effects are much stronger among high-IU firms (the interaction effect). These findings are consistent with analytical models in which high IU exacerbates investor overconfidence and limits rational arbitrage.
Keyword:
behavioral finance
cross-sectional returns
information uncertainty
risk
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期刊

Review of Accounting Studies 封面图
Review of Accounting Studies
IF:
5.8
论文数:
1.1K
被引数:
6.4K

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